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http://hdl.handle.net/11718/12203| Title: | Applications of rainbow options to manage price risk in industries |
| Authors: | Kaul, Anubhav Sanghi, Shitij |
| Keywords: | Price risk;Rainbow options;Call Option;Put Option |
| Issue Date: | 2007 |
| Publisher: | Indian Institute of Management, Ahmedabad |
| Series/Report no.: | SP;1364 |
| Abstract: | Rainbow options are exotics that have multiple assets as the underlying . They are usually calls or puts on the best or worst of 'n' underlying assets. or options which pay the best or worst of 'n' assets. Such options allow Holders to choose between the underlying vanilla options at a specified time before expiry. pricing of rainbow options depends upon the particular structure . but it is generally sensitive to correlations between the underlying assets. |
| URI: | http://hdl.handle.net/11718/12203 |
| Appears in Collections: | Student Projects |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SP_2007_1364.pdf Restricted Access | SP_2007_1364 | 371.81 kB | Adobe PDF | View/Open Request a copy |
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